Market Risk Analyst

0 years

0 Lacs

Posted:1 week ago| Platform: Linkedin logo

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On-site

Job Type

Full Time

Job Description

Analysis, Validation, and commentary of Value at Risk (VaR), Stressed Value at Risk (SVaR), Stress Test and Risk Sensitivities (Equity Delta, Interest Rate Delta, Basis Delta, FX Delta, Equity Vega, Interest Rate Vega, etc) for instruments exposed to Market Risk on Equity / Fixed Income, Equity / Fixed Income Derivative and Hybrid products.

Sound understanding of Sensitivity (Greeks) * Shock approach and Full Valuation methodology to explain the market risk move and level.

Analysis, Validation, and commentary on FRTB metrics like Default Risk Charge, RRAO, Standard Based Model etc.

Level and Move analysis of the market risk metrics and sensitivities with proper justification.

Limit monitoring of risk sensitivities, VaR and SVaR and prompt communication to FO about the breaches.

Active involvement in adhoc request on regulatory topics, valuation model changes, Stress VaR widow calibration etc.

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